A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Optimal learning rates decay to zero in easy tasks and maintain a warmup phase in hard tasks.
The probability of default (PD) estimation is an important process for financial institutions. The difficulty of the estimation depends on the correlations between borrowers. In this paper, we introduce a hierarchical Bayesian estimation method using the beta binomial distribution and consider a multi-year case with a …
The paper predicts and explains the decay of stock anomaly performance over time.
Study shows decay of correlations on specific types of flows.
New model explains volatility after extreme stock market events.
SignSGD outperforms SGD in linear regression with optimal scaling laws under PLRF model.
This paper concerns integral varifolds of arbitrary dimension in an open subset of Euclidean space satisfying integrability conditions on their first variation. Firstly, the study of pointwise power decay rates almost everywhere of the quadratic tilt-excess is completed by establishing the precise decay rate for two-di…
Approximations to utility indifference prices are provided for a contingent claim in the large position size limit. Results are valid for general utility functions on the real line and semi-martingale models. It is shown that as the position size approaches infinity, the utility function's decay rate for large negative…
The paper presents a multi-power law for predicting loss curves across different learning rate schedules.
We study by theoretical analysis and by direct numerical simulation the dynamics of a wide class of asynchronous stochastic systems composed of many autocatalytic degrees of freedom. We describe the generic emergence of truncated power laws in the size distribution of their individual elements. The exponents of the…
The paper studies harmonic map heat flow stability and decay rates.
The persistence phenomenon is studied in the Japanese financial market by using a novel mapping of the time evolution of the values of shares quoted on the Nikkei Index onto Ising spins. The method is applied to historical end of day data from the Japanese stock market during 2002. By studying the time dependence of th…
Estimates self- and cross-impact concavity and decay patterns in financial markets.
New ensemble method improves model stability exponentially.
Stock prices are observed to be random walks in time despite a strong, long term memory in the signs of trades (buys or sells). Lillo and Farmer have recently suggested that these correlations are compensated by opposite long ranged fluctuations in liquidity, with an otherwise permanent market impact, challenging the s…
New method for spectral and Bergman kernels under local spectral gap condition.
The study uses the Merton model to estimate PD and finds a phase transition affecting convergence speed.
Stochastic block models (SBMs) have been playing an important role in modeling clusters or community structures of network data. But, it is incapable of handling several complex features ubiquitously exhibited in real-world networks, one of which is the power-law degree characteristic. To this end, we propose a new var…
We compare systematically several classes of stochastic volatility models of stock market fluctuations. We show that the long-time return distribution is either Gaussian or develops a power-law tail, while the short-time return distribution has generically a stretched-exponential form, but can assume also an algebraic …
We explain theoretically a curious empirical phenomenon: "Approximating a matrix by deterministically selecting a subset of its columns with the corresponding largest leverage scores results in a good low-rank matrix surrogate". To obtain provable guarantees, previous work requires randomized sampling of the columns wi…
The study examines Kernel Ridge Regression error rates across noiseless and noisy conditions.
Under what conditions is an edge present in a social network at time t likely to decay or persist by some future time t + Delta(t)? Previous research addressing this issue suggests that the network range of the people involved in the edge, the extent to which the edge is embedded in a surrounding structure, and the age…
We focus on emergence of the power-law cross-correlations from processes with both short and long term memory properties. In the case of correlated error-terms, the power-law decay of the cross-correlation function comes automatically with the characteristics of separate processes. Bivariate Hurst exponent is then equa…
The quotient of random variables with normal distributions is examined and proven to have have power law decay, with density , with the coefficient depending on the means and variances of the numerator and denominator and their correlation. We also obtain the conditional probability…
We discover scaling laws for kernel regression loss under various learning rate schedules.
We study soft persistence (existence in subsequent temporal layers of motifs from the initial layer) of motif structures in Triangulated Maximally Filtered Graphs (TMFG) generated from time-varying Kendall correlation matrices computed from stock prices log-returns over rolling windows with exponential smoothing. We ob…
Empirical studies show that the volatility may exhibit correlations that decay as a fractional power of the time offset. The paper presents a rigorous analysis for the case when the stationary stochastic volatility model is constructed in terms of a fractional Ornstein Uhlenbeck process to have such correlations. It is…
Optimizes trading strategy considering alpha decay and transaction costs.
Estimates kernel eigenvalues for compositional dot-product kernels.
GradPower speeds up language model training with minimal code changes.
We present an empirical study of price reversion after the executed metaorders. We use a data set with more than 8 million metaorders executed by institutional investors in the US equity market. We show that relaxation takes place as soon as the metaorder ends:{while at the end of the same day it is on average $\approx…
Optimal trading strategy derived for nonlinear price impact models.
We model the arrival of mid-price changes in the E-Mini S&P futures contract as a self-exciting Hawkes process. Using several estimation methods, we find that the Hawkes kernel is power-law with a decay exponent close to -1.15 at short times, less than approximately 10^3 seconds, and crosses over to a second power-law …
We study the relaxation dynamics of a financial market just after the occurrence of a crash by investigating the number of times the absolute value of an index return is exceeding a given threshold value. We show that the empirical observation of a power law evolution of the number of events exceeding the selected thre…
Second part of series studying charged scalar fields on Reissner--Nordström spacetimes.
Gradient descent outperforms ridge regression under certain covariance matrix decay conditions.
Power-law spectrum of random feature model is preserved in neural networks.
Explicit formula for Bergman kernel of abelian varieties proved.
In this paper, we describe a newly discovered statistical property of time series data for daily price changes. We conducted quantitative investigation of the {\it calm-time intervals} of price changes for 800 companies listed in the Tokyo Stock Exchange, and for the Nikkei 225 index over a 27-year period from January …
Using a proprietary dataset of meta-orders and prediction signals, and assuming a quasi-linear impact model, we deconvolve market impact from past correlated trades and a predictable return component to elicit the temporal dependence of the market impact of a single daily meta-order, over a ten day horizon in various e…
We study the Cauchy problem for the wave equation on extreme Kerr backgrounds under axisymmetry. Specifically, we consider regular axisymmetric initial data prescribed on a Cauchy hypersurface S which connects the future event horizon with spacelike or null infinity, and we solve the linear wave equation on the domain …
We give upper bounds for the Bergman kernels associated to tensor powers of a smooth positive line bundle in terms of the rate of growth of the Taylor coefficients of the Kähler potential. As applications, we obtain improved off-diagonal rate of decay for the classes of analytic, quasi-analytic, and more generally Gevr…
Analyzed Bitcoin market index volatility changes over two distinct periods using anomalous diffusion and multifractal analysis.
Bayesian inference and superstatistics model financial volatility dynamics across different timescales.
We consider inverse curvature flows in the -dimensional Euclidean space, expanding by arbitrary negative powers of a 1-homogeneous, monotone curvature function with some concavity properties. We obtain asymptotical roundness, meaning that circumradius minus inradius of the flow hypersurfaces decay…
We study the geometry of infinitely presented groups satisfying the small cancelation condition C'(1/8), and define a standard decomposition (called the criss-cross decomposition) for the elements of such groups. We use it to prove the Rapid Decay property for groups with the stronger small cancelation property C'(1/10…
This article provides a novel framework to evaluate limit order tactics that highlights expected fill price, adverse price selection cost, and opportunity cost. We formulate the problem of optimal execution of market orders with nonlinear market impact, power law decay kernel, and stochastic and deterministic liquidity…
The relaxation dynamics of aftershocks after large volatility shocks are investigated based on two high-frequency data sets of the Shanghai Stock Exchange Composite (SSEC) index. Compared with previous relevant work, we have defined main financial shocks based on large volatilities rather than large crashes. We find th…